【Micro Seminar】Stochastic Optimization and Coupling
2026/03/05
研討會日期 : 2026-03-05
時間 : 14:30
主講人 : Professor Kai Hao Yang
地點 : Conference Room B110
主持人 : Professor Yi-Hsuan Lin
演講者簡介 : Professor Kai Hao Yang received his Ph.D. in Economics from the University of Chicago in 2020. He is currently an Assistant Professor at Yale University. His research interests are Microeconomic Theory, Mechanism Design, Information Design, Industrial Organization, and Political Economy.
演講摘要 : We study optimization problems involving probability measures that are dominated by a given measure according to an integral stochastic order in an arbitrary dimension. For any integral stochastic order, we show a four-way equivalence: (i) the test function cone is closed under pointwise minimum, (ii) the value functional is affine, (iii) the solution correspondence has a convex graph with decomposable extreme points, and (iv) the existence of an order-preserving coupling. As corollaries, we derive the extreme and exposed point properties involving integral stochastic orders such as multidimensional mean-preserving spreads and stochastic dominance. We apply these results to generalize Blackwell's theorem, and characterize possible comparisons of experiments that admit two equivalent descriptions in the Blackwell's sense. We also show that these results immediately yield new insights in information design, mechanism design, and decision theory.
